Role of correlations in the maximum distribution of strongly correlated stationary Markovian processes

S. Miccichè

Chaos, Solitons & Fractals, 2025, vol. 192, issue C

Abstract: We are interested in numerically investigating the statistical properties of extreme values for strongly correlated variables. The main motivation for this study is to understand how the strong-correlation properties of power-law distributed processes affect the possibility of exploring the whole domain of a stochastic process when performing time-average numerical simulations. This problem is relevant when investigating the convergence properties in the numerical evaluation of the autocorrelation function of a stochastic process.

Keywords: Long-range correlations; Autocorrelation; Time series analysis; Extreme events; Maximum distribution (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:192:y:2025:i:c:s0960077925000086

DOI: 10.1016/j.chaos.2025.115995

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